Lehman Brothers to price 0% buffered semiannual review notes linked to Euro Stoxx 50

By Susanna Moon

Chicago, March 3 - Lehman Brothers Holdings Inc. plans to price two-year 0% buffered semiannual review notes linked to the Dow Jones Euro Stoxx 50 index, according to an FWP filing with the Securities and Exchange Commission.

The notes will be called at increasing premiums if the index level is at or above its initial level on any review date.

The redemption amount will be par plus 16% to 8% if called on the first review date, par plus 12% to 16% if called on the second review date, par plus 18% to 24% if called on the third review date and the greater of par plus 24% to 32% and par plus the index return if called on the final review date. The redemption amounts and review dates will be set at pricing.

If the notes are not called, the payout at maturity will be par unless the index declines by more than 10%, in which case investors will lose 1.1111% for each 1% decline beyond 10%.

The notes will price and settle sometime in 2008.

Lehman Brothers Inc. will be the underwriter.

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